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Derived from
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21210109 RISK MANAGEMENT AND VALUE CREATION IN BANKING in Finance and business LM-16 STENTELLA LOPES FRANCESCO SAVERIO, CARBONI MARIKA
(syllabus)
Interest rate risk: repricing gap, duration gap e clumping
Liquidity risk
Market Risk di: Value at Risk (VaR) parametric and simulation and Expected Shortfall
Credit risk: Scoring, Market based models, Portfolio models
Credit risk: Recovery rate, Loss Given Default
Internal rating models
Reputational risk
Operational risk
Cyber Risk
Systemic risk
Banking regulation: Basel I and Basel III
(reference books)
A. Resti e A. Sironi, Risk management and value creation in banks, Milano, EGEA, 2008 (RS)
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Università Roma Tre